st: heteroscedasticity in dymamic fixed effects (or LSDV) models

HI all,
I have a usual panel data set on some variables that evolve across
time and countries.
I set up a dynamic panel fixed effects model
and I test for heteroscedasticity using xttest3. So my next step is to use
xtreg dependent variable, lagged dependent, rest variables , fe cluster(id)
where id is the usual panel identifier.
Checking for heteroscedasticity (using again xttest) I still find
that I have heteroscedasticity.
IS there any problem in my approach?
thanks
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